If I am trying to push a cart with a TV on it out of the store or something like that, I always am happy to let them check my receipt. When I am walking out with a bag of fruit, bread and cheese, I usually tell them no and keep walking.
My favorite is at the Wal Mart on Bethel road when you use the checkout closest to the door on the food side, the greeter watches you checkout, watches you walk towards the door and then asks to see your receipt. That guy promptly got a "fuck off".